A nonstandard form of the rate function for the occupation measure of a Markov chain (Q1915834)
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English | A nonstandard form of the rate function for the occupation measure of a Markov chain |
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A nonstandard form of the rate function for the occupation measure of a Markov chain (English)
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5 January 1997
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The authors prove a large deviation principle with respect to the weak topology for the occupation measures of a particular Markov chain, whose transition kernel is not Feller continuous and does not have a finite dominating measure. Using the weak convergence approach, they explicitly compute the resulting rate function, and find that it differs from the well-known Donsker-Varadhan form. The Markov chain is also an example, where the large deviation principle with the same rate function does not transfer to the strong topology setting.
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large deviations
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Markov chains
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empirical measure
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weak convergence
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